Ooh... thanks for the replies.
It is a bar, I suppose, as Sephie described, that rests on the shank part of the needle screw. (Who knew sewing was so technical?). What I read was that vibrations from the walking foot can jiggle the screw loose, iyswim. I did resort to tightening the screw regularly, but that didn't sort it either.
Purpose of that little arm/bar thingie seems to be something to do with keeping the feet mostly down.
I only finished the last quilt by winding stitches by hand. No breaks doing that. Or when using other feet. But it wears my hands out to quilt turning the knob by hand, can't do that for whole thing. Needle seems to break because of hitting something metal, the stitch plate or maybe the foot itself. Could be I'm pulling a bit without realising (?).
I could be fitting foot wrong but it's pretty simple, only one way it could possibly go on.
6 or 7 breakages in total, in fairly rapid succession (so anywhere between 5 to 25 minutes use each). Since then I've done a load of other sewing without any breaks (patchwork). The needles are good ones (expensive to break!). I had breakages with all kinds of thread, but not with my other feet no matter which thread, only the walking one.
I'm scared enough to consider asking some else to quilt it for me, darnit.